There are two aspects: founding an actual new religion or founding a branch of an existing one. What defines a religion? Must there be a supreme being or beings? Buddhism doesn't seem to have one but Richard Dawkings regards this as a philosophy rather than a religion anyway; so it doesn't receive his wrath. If you are a member of a recognised religion there are all sort of advantages: you can claim many privilages and even obtain exemption from the criminal law which applies to the rest of us. Most people will accept your peculiarites if you are 'religious' which they would not if you were just, say, eccentric altho some will mock; this latter may seem an advantage to some as it somehow proves their beliefs. However in the UK mocking may become illegal anyway. There also appear to be some almostsemi-religions groups such as vegitarianism and the environmentalist. The Hell Angels are not a religious group according to the English courts as they regrettably failed to gain exemption from wearing crash helmets on motor bikes unlike a certain religious group. Carrying knives is another point: it's part of a Scots national dress and also part of a certain religions requirement; will one become illegal and not the other? So a religion can be tested in court.
As Our Ernie's Dad used to say: 'Daft I call it'.